Sökning: "asset pricing"

Visar resultat 1 - 5 av 244 uppsatser innehållade orden asset pricing.

  1. 1. Performance Evaluation of Small- and Large-cap stocks - The importance of size effects on the Swedish equity market

    Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Författare :Andreas Carlsson; Erik Hulth; [2019-02-20]
    Nyckelord :Performance Evaluation; Asset pricing; Size Effect; Sharpe Ratio; Treynor ratio; Jensen´s alpha; Risk-Adjusted Returns; Fama-French Three-Factor Model; Carhart Four-Factor Model; Multi-factor models; Single-factor model;

    Sammanfattning : This Bachelor´s thesis investigated the performance of small-cap stocks and large-cap stocks on the Swedish equity market (NASDAQ OMX) over the years 2011 to 2016. A number of studies focused on asset pricing have during the last decades indicated that the original Capital Asset Pricing Model (CAPM) is misspecified and has limited power to explain cross-sectional and temporal variations in expected equity returns. LÄS MER

  2. 2. THE MAGIC FORMULA - EN UTVÄRDERING AV EN FUNDAMENTAL INVESTERINGSSTRATEGI PÅ DEN SVENSKA AKTIEMARKNADEN

    Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Författare :Gustav Hauri; Johannes Sköld; [2019-02-18]
    Nyckelord :Effecient Market Hypothesis; Fundamental analysis; Investments strategies; Magic Formula; Value investing;

    Sammanfattning : This thesis examines the predictive powers of the basic stock picking model, The Magic Formula (MF), as well as the modified version of the model, The Free-Cash-Flow augmented Magic Formula (MF-CF) as suggested by Davydov, Tikkanen and Äijö (2016). By using a sample of the firms listed in the Stockholm Stock Exchange during 2008-2018, our results indicate that both models predict high risk, but only the MF provide higher returns. LÄS MER

  3. 3. MODELING CAPITAL ASSET RETURNS ON THE SWEDISH STOCK MARKET - An evaluation of Fama French’s Five Factor Model against its predecessors

    Kandidat-uppsats, Lunds universitet/Statistiska institutionen

    Författare :Kristoffer Bergram; Ludvig Göransson; [2019]
    Nyckelord :asset pricing modeling; time series regression; statistics; Fama French Five Factor model; Carhart Four Factor model; Fama French Three Factor model; Swedish stock market; portfolio theory; behavioral economics; Mathematics and Statistics; Business and Economics;

    Sammanfattning : This thesis compared the explanatory rate of three asset pricing models related to excess returns on the Swedish stock market. A more granular evaluation of each model’s factors was also conducted. A random sample of 90 companies was drawn from the Stockholm Stock Exchange (N = 371) using a Blomberg terminal. LÄS MER

  4. 4. Amorteringskravets påverkan på fastighetsbolagens aktiekurser på en orolig bostadsmarknad.

    Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Fredrik Wisborn; Ahmed Ben Moussa; [2019]
    Nyckelord :Finans; Fastigheter; Amorteringskrav; Behavioural finance; Abnormal avkastning; Business and Economics;

    Sammanfattning : Titel: Amorteringskravets påverkan på fastighetsbolagens aktiekurser på en orolig bostadsmarknad. Seminariedatum: 2019-01-17 Kurs: NEKH01, Nationalekonomi: Examensarbete - kandidatnivå, 15 högskolepoäng Författare: Fredrik Wisborn och Ahmed Ben Moussa Handledare: Claes Bäckman Syfte: Syftet med uppsatsen är att undersöka ifall de kommersiella fastighetsbolagen har haft bättre avkastning än bostadsfastighetsbolagen på stockholmsbörsen efter amorteringskravets införande. LÄS MER

  5. 5. Can Vice be Vindicated? Examining a potential value premium in vice stocks using Fama and MacBeth regressions - a comparison across three different factor models

    Kandidat-uppsats,

    Författare :Anton Johansson; Christian Persson; [2018-07-12]
    Nyckelord :Vice stocks; asset pricing; risk premiums; Fama and MacBeth;

    Sammanfattning : In this paper, we examine a 30-year period to find whether vice (defined as operations in the alcohol, tobacco, gambling, adult services, and weapons and defense industries) plays a role in determining returns of individual firms on the U.S. stock market. LÄS MER